They have this in RO1 as well.... I do remember when I first started playing RO1 that when you wanted to load a different shell, you had to wait until the current shell was being loaded.... then it'd take that shell out and start to load in the new shell, which took forever, especially in an IS2, as there wasn't some action that would stop the original shell loading.
In RO1 since the shell loading is automatic, they now load the same shell like before, but if you decide to make it an HE or AP halfway through the load, or even as soon as you possibly could after your last round went off, it just toggles that new round into the round you wanted loaded in the first place... after the round is loaded that is. (Similar to RO2 which you guys are talking about above)
I noticed this in RO1 during the Arad_RealForests5 maps recently, so don't know if it was a server side modification or was put in by the devs later on in an update.... but a similar action seems to exist in RO2 and I don't think it's an error/glitch.
It's to compensate for the AI Bot auto reloading all the time, where it usually doesn't give you the chance to tell it what you want before it starts loading in another round.
Sure you could switch it to HE while its loading an AP and then the next round he fires is the HE, but there's nothing on the screen to notify you that your current round is still an AP or HE.
Perhaps they could add a smaller shell icon next to the current round's icon, notifying you that this is the current round to fire and this smaller icon is the next round to go in.
But for those who will be asking for it.... you then have to also code in for those times when you want to take that shell out right away and load in another.... because I know there will be others wanting that feature added too.
It might just be easier to have it the way it currently is.